Numerical Methods for Stochastic Control Problems in Continuous Time

Numerical Methods for Stochastic Control Problems in Continuous Time by Harold Kushner, Paul G. Dupuis.

Changes in the second edition. The second edition differs from the first in that there is a full development of problems where the variance of the diffusion term and the jump distribution can be controlled. Also, a great deal of new material concerning deterministic problems has been added, includin...

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Bibliographic Details
Main Authors: Kushner, Harold (Author), Dupuis, Paul G. (Author)
Corporate Author: SpringerLink (Online service)
Format: eBook
Language:English
Published: New York, NY : Springer New York : Imprint: Springer, 2001.
Edition:2nd ed. 2001.
Series:Stochastic Modelling and Applied Probability, 24
Springer eBook Collection.
Subjects:
Probabilities.
Calculus of variations.
System theory.
Electronic resources (E-books)
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Status: Available

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